...d'Administration des Entreprises This paper is submitted in the context of the following subject: Portfolio Project Risk & Stock Market M2 EUROPEAN AND INTERNATIONAL PRIVATE BANKING Submitted by: Instructor: KAKAVAND Samaneh EGRET Paul DOU Yan Academic Year 2012/2013 Introduction: Global Economic & stock market Performance: Mixed signals January 2013 is a great month for stock market. Since January, the stock market goes up, so maybe this stock market bulls will keep running in the whole year, especially, the Dow Jones Industrial Average is increasing dramatically, from 12520 in July 2012 to 14275 today. Source: Google Finance One potential reason for the optimism is a positive sense of global economy in the future; the euro zone is not going to break up, because in September 2012, European Central Bank promised unlimited bond-buying to keep the euro together; China has avoided a hard landing, America avoided falling off the fiscal cliff. Additionally, Federal Reserve agreed to keep interest rates down to help encourage investment and decrease the unemployment rate. Based on the above economic performances, we can argue that the share prices will go up, because the global economy is recovering from recession. Since the bonds yields will keep running low in 2013, investment in equity market is a more reasonable choice. However, market risk and uncertain can never be ignored. The biggest reason for caution...
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...Faculty of Banking and Finance / FTU fandzung@ftu.edu.vn This module is supported by Weblearn – students are advised to access the site on a regular basis, at least once a week FS3032 Capital Markets |Teaching Location |A1101 | |Teaching Semester |1 | |Module Level |H | |Home Academic Department |LMBS | |Module Leader |Dr Phan Tran Trung Dzung | |Module Web Site |FS3032C | |Teaching Mode |Day | |Module Title |Capital Markets | |Timeslot | | |Credit Rating For Module |15 | Module Summary CODE: FS3032C TITLE: Capital Markets: Investment & Portfolio Management BRIEF DESCRIPTION: The world of finance has changed tremendously in the last few decades. Domestic financial markets are integrating more and more and businesses are becoming global. As the core component of the world of finance, capital markets have experienced...
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...e Finance Notes: Week 1 (Chapter 1) The Financial System Chapter Aims • Outline the functions of the Australian financial system • Identify the elements of the Australian financial system Overview of Financial Systems • A financial system facilitates financial transactions through the creation and transfer of financial assets • The key elements of the Australian financial system are □ Financial instruments □ Financial markets □ Financial institutions Functions of a Financial System • Facilitates the efficient flow of funds between lenders and borrowers via financial instruments • Allows individuals to allocate funds according to current and future consumption • Facilitates the implementation of government monetary policy Financial Instruments • Attributes of financial instruments □ Return or yield □ Risk □ Liquidity □ Time pattern of cash-flows 1. Equity □ Shares represent an ownership position □ An entitlement to share in the profits of the organisation □ Equity types – Ordinary shares – Preference shares – Quasi-equity instruments 2. Debt □ Debt instruments represent a contractual claim on the borrower to make specific payments in the form of interest and principal amounts □ Debt may be issued with a fixed or floating interest rate, or at a discount, secured or unsecured, short or long-term 3. Derivates □ Derivate instruments...
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...V O LU M E 2 0 | N U M B E R 2 | s p RiN g 2 0 0 8 Journal of APPLIED CORPORATE FINANCE A MO RG A N S TA N L E Y P U B L I C AT I O N In This Issue: Valuation and Corporate portfolio Management Corporate portfolio Management Roundtable Presented by Ernst & Young 8 Panelists: Robert Bruner, University of Virginia; Robert Pozen, MFS Investment Management; Anne Madden, Honeywell International; Aileen Stockburger, Johnson & Johnson; Forbes Alexander, Jabil Circuit; Steve Munger and Don Chew, Morgan Stanley. Moderated by Jeff Greene, Ernst & Young Liquidity, the Value of the Firm, and Corporate Finance 32 Yakov Amihud, New York University, and Haim Mendelson, Stanford University Real Asset Valuation: A Back-to-Basics Approach 46 David Laughton, University of Alberta; Raul Guerrero, Asymmetric Strategy LLC; and Donald Lessard, MIT Sloan School of Management Expected Inflation and the Constant-Growth Valuation Model 66 Michael Bradley, Duke University, and Gregg Jarrell, University of Rochester Single vs. Multiple Discount Rates: How to Limit “Influence Costs” in the Capital Allocation process 79 The Era of Cross-Border M&A: How Current Market Dynamics are Changing the M&A Landscape 84 Transfer pricing for Corporate Treasury in the Multinational Enterprise 97 The Equity Market Risk premium and Valuation of Overseas investments John Martin, Baylor University, and Sheridan Titman, University of Texas at Austin ...
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...FUNDAMENTALS OF FINANCE AND INTERNATIONAL FINANCIAL MANAGEMENT COURSE CONTENTS 1. Fundamentals of Finance 1.1. What is Corporate Finance? 1.2. The Financial Manager 1.3. Financial Management Decisions 1.4. The Goal of Financial Management 2. Basic Tools of Financial Analysis: Accounting Statements and Ratio Analysis 2.1. The Balance Sheet 2.2. The Income Statement 2.3. Cash Flow 2.4. Ratio Analysis 2.5. The Du Pont Identity 2.6. Using Financial Statement Information 2 COURSE CONTENTS 3. Financial Equilibrium 3.1. Current Asset Management 3.2. Short Term Financing 3.3. Working Capital Management 4. Financial Forecasting 4.1. Pro Forma Statements and Financial Planning 4.2. Cash Flow Forecasts 4.3. Cash Budgets 4.4. Cost of Capital 4.5. Capital Structure 4.6. Financial Planning 3 COURSE CONTENTS 5. Identification of Financial markets 5.1. Money Market 5.2. Capital Market 5.3. Foreign Exchange Market 5.4. Derivatives Market 6. Management of stocks, bonds, derivatives and other assets 6.1. Potfolio Theory and Asset Pricing 6.2. Common Stock Analysis and Equity Pricing Models 6.3. Fixed Income Analysis and Bond Pricing 6.4. Futures, Options and Other Derivatives 4 COURSE CONTENTS 7. Foreign exchange markets, currency derivative markets and Euromarkets 7.1. Function and structure of foreign exchange markets 7.2. Forecasting foreign exchange rates 7.3. Currency Futures and Options Markets 7.4. Eurodollar Interest Rate Futures Contracts 7.5. International...
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...interpret and manipulate the coefficients of multiple regression and performance criteria; conduct diagnostic checking of the validity of regression equations coefficients; appreciate the problems of misspecification, multicollinearity, heteroscedasticity and autocorrelation. Content: 1. Simple Regression Analysis 2. Multiple Regression Analysis 3. Dummy Variables 4. Heteroscedasticity 5. Autocorrelation Main Textbook: Dougherty, C. (2011). Introduction to Econometrics, 4th edition, Oxford. 2. Module Name: Computational Finance Code: P12614 Credits: 10 Semester: Spring 2011/12 Programme classes: 12 1-2 hour lectures/workshops Aims: The module aims to describe and analyse the general finance topics and introduces students to implement basic computational approaches to financial problems using Microsoft Excel. It stresses the fundamentals of finance; provides students with a knowledge and understanding on the key finance subjects such as money market, return metric, portfolio modelling, asset pricing, etc.; and equips students with the essential techniques applied in financial calculations. Contents: 1. Lecture Topic 1: Money Market Instrument : Introduction to the course; Interest rate types;...
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...[pic] Master in Business Administration COURSE SYLLABUS Investment Banking And Structured Finance Analytics Course Code: IBSFA Faculty: Prof. E. B. Perez Course Description This is an advanced finance course suited for finance majors. However, the focus is on the practice and business of investment banking. Corporate finance skills are assumed, as well as concepts regarding structured finance. Grading Class Participation 50% Class Presentation 50% Course Outline |Session |Cases, Readings and Exercises | | | | |1 |Case: CML Group, Inc. (A) and (B) | | | | | |Session 1 CML Group, Inc. (A) and (B); the (C) for class distribution. | | |2 Hutchison-Whampoa LTD - Yankee Bond Offering | | |3 Chase's Strategy for Syndicating the Hong Kong Disneyland Loan (A) ...
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...| | | |Equivalent Modules Master List |Equivalent courses offered at Aalto University, School Of Economics. | | | | | |Courses offered are subject to changes. | | |Updated information on the courses will be sent to successful candidates by Aalto | | |University, School Of Economics. | | | | | |*The same course can be transferred only as 1 course. | |First Level Modules | | |ACC1006 Accounting Information Systems |International...
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...The History of Finance An eyewitness account. Merton H. Miller MERTON H. MILLER is Robert R. McCormick distinguished ser- vice professor emeritus at the University of Chicago (IL 60637). SUMMER 1999 * * * IT IS ILLEGAL TO REPRODUCE THIS ARTICLE IN ANY FORMAT * * *| t five years, the German Finance Association A is not very old as professional societies go, but then neither is the field of finance itself. Finance in its modern form really dates only from the 1950s. In the forty years since then, the field has come to surpass many, perhaps even most, of the more traditional fields of economics in terms of the numbers of students enrolled in finance courses, the numbers of faculty teaching finance courses, and above all in the quantity and quality of their combined schol-arly output. The huge body of scholarly research in finance over the last forty years falls naturally into two main streams. And no, I don’t mean “asset pricing” and “cor-porate finance,” but instead a deeper division that cuts across both. The division I have in mind is the more fundamental one between what I will call the business school approach to finance and the economics department approach. Let me say immediately, however, that my distinction is purely “notional,” not physical — a dis-tinction over...
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...FP/101 FOUNDATIONS OF PERSONAL FINANCE Start Date: 04/23/2012 Print COURSE DESCRIPTION This course provides an overview of the elements necessary for effective personal financial planning and the opportunity to apply the techniques and strategies essential to this understanding. Primary areas of study include creating and managing a personal budget, understanding and paying taxes, working with financial institutions, wise use of credit cards and consumer loans, financing automobiles and homes, and the use of insurance for protecting one’s family and property. WEEK 1 - TOPIC 1: PERSONAL FINANCIAL PLANNING Objectives List the five steps in the personal financial planning process. Summarize what influences personal financial planning. Identify parts of a financial plan. Materials READING: Read Ch. 1 of Personal finance - Personal Financial Planning in Action: Developing a Personal Financial Plan. SUPPLEMENT: Appendix A: How to Install Quick Time Movie Player SUPPLEMENT: Appendix B: Personal Financial Planning Worksheet WEB LINK: Decision to Own a Home vs. Rent Video SUPPLEMENT: Video Transcript - Decision to Own a Home vs. Rent Assessment Please see instructor's syllabus for details on assignments. Participation/Discussion Questions WEEK 2 - TOPIC 1: MONEY MANAGEMENT Objectives Describe how to organize and prepare personal financial statements. Identify cash management products and services. Complete a personal cash flow statement. Materials ...
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...adopted to implement a strategy known as hedging, in which an organisation acquires a contract in order to offset an expected drop or rise in value of a position or future cash flow (Belk & Edelshain, 1997). This essay will outline the incentives and rationales behind an organisation that uses currency derivatives. There are three types of currency derivatives used in hedging, future contracts, forward contracts and options, although swaps are also commonly considered as a currency derivative (Shoup, 2008). These instruments are derived from a spot rate, which is the price of the “underlying currency” (Eiteman, Stonehill & Moffett, 2009). Options are normally more costly than future contracts and forward contracts, because options are rights rather than obligations to buy or sell a currency (gives buyers the right not to exercise the contract if the spot rate movement is not favourable) (Belk & Edelshain, 1997). Research in New Zealand indicates that 70% of currency derivative users used forwards, which are most prevalent currency derivative instrument (Chan, Gan & McGraw, 2003). This is possibly because forwards are easy to manage and understand and can be used in frequent and uncertain transactions. Over-the-counter options are the second most popular instrument by NZ users of currency derivatives (40%), as options give users more flexibility (selling or buying a currency only when the firm can earn profit) (Chan et al, 2003). There are basically two purposes currency derivatives...
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...MANAGING FINANCIAL RISKS OF SUKUK STRUCTURES Ali Arsalan Tariq M.Sc. International Banking Copyright AA Tariq, September 2004 A dissertation submitted in partial fulfilment of the requirements for the degree of Masters of Science at Loughborough University, UK. Acknowledgements First and foremost, I would like to thank my family – mother, father and my siblings – for their undying love. I would never have come so far without them. I would also like to take this opportunity to thank my supervisor, Dr. Humayon Dar, for his insightful guidance and for always being welcoming and patient with my unannounced visits throughout the year. This dissertation would never have been produced otherwise. Last but not least, I would like to thank my friends at Loughborough University that have made my summer of 2004 all the more memorable. For everything that is right, credit goes to all of the above. For anything that is wrong, I am culpable. Ali Arsalan Tariq September 2004 2 TABLE OF CONTENTS I. Introduction II. Islamic Financial Assets: Overview of Theoretical Aspects 2.1 Prohibitions 2.1.1. Prohibition of Riba (Interest) ` 2.1.2. Prohibitions of Gharar (Excessive Uncertainty) 2.1.3. Avoidance of Unethical Investments and Services 2.2 Alternative Basis of Financial Instruments 2.2.1 Partnership Contracts 2.2.2. Exchange Contracts 2.2.3. Financial Assets III. Evolution and Profile of Sukuk Structures and Markets 3.1 Types of Sukuk 3.1.1 Pure Ijarah Sukuk 3.1.2. Hybrid/Pooled Sukuk 3...
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...Journal of Banking & Finance 37 (2013) 3388–3400 Contents lists available at SciVerse ScienceDirect Journal of Banking & Finance journal homepage: www.elsevier.com/locate/jbf The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium Louis H. Ederington a,⇑, Wei Guan b a b Finance Division, Michael F. Price College of Business, University of Oklahoma, 205A Adams Hall, Norman, OK 73019, USA College of Business, University of South Florida St. Petersburg, 140 Seventh Avenue South, St. Petersburg, FL 33701, USA a r t i c l e i n f o a b s t r a c t This paper estimates how the shape of the implied volatility smile and the size of the variance risk premium relate to parameters of GARCH-type time-series models measuring how conditional volatility responds to return shocks. Markets in which return shocks lead to large increases in conditional volatility tend to have larger variance risk premia than markets in which the impact on conditional volatility is slight. Markets in which negative (positive) return shocks lead to larger increases in future volatility than positive (negative) return shocks tend to have downward (upward) sloping implied volatility smiles. Also, differences in how volatility responds to return shocks as measured by GARCH-type models explain much, but not all, of the variations in excess kurtosis and multi-period skewness across different markets. Ó 2013 Elsevier B.V. All...
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...® a practical guide for business calculations ALASTAIR L. DAY Alastair Day has worked in the finance industry for more than 25 years in treasury and marketing functions and was formerly a director of a vendor leasing company specializing in the IT and technology industries. After rapid growth, the directors sold the enterprise to a public company and he established Systematic Finance plc as a consultancy specializing in: • financial modelling – review, design, build and audit • training in financial modelling, corporate finance, leasing and credit analysis on an in-house and public basis • finance and operating lease structuring as a consultant and lessor Alastair is author of a number of books including three published by FT Prentice Hall: Mastering Financial Modelling, Mastering Risk Modelling and The Financial Director’s Guide to Purchase Leasing. Alastair has a degree in Economics and German from London University together with an MBA and is an associate lecturer of finance with the Open University Business School. Excel a practical guide for business calculations Tools enabling managers to carry out financial calculations have evolved in the last 20 years from tables through calculators to programs on PCs and personal organisers. Today, the majority of those in finance have Excel on their desks and increasingly on their laptops or pocket computers. Mastering Financial Mathematics in Microsoft ® Excel provides a comprehensive set of tools and ...
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...AAMJAF, Vol. 4, No. 2, 43–65, 2008 ASIAN ACADEMY of MANAGEMENT JOURNAL of ACCOUNTING and FINANCE THE IMPACT OF DERIVATIVES ON STOCK MARKET VOLATILITY: A STUDY OF THE NIFTY INDEX T. Mallikarjunappa1* and Afsal E. M.2 1 Department of Business Administration, Mangalore University, Mangalagangotri – 574199, Mangalore, DK, Karnataka, India 2 School of Management and Business Studies, Mahatma Gandhi University, P.D. Hills, Kottayam – 686560, Kerala State, India *Corresponding author: tmmallik@yahoo.com ABSTRACT This paper studies the volatility implications of the introduction of derivatives on stock market volatility in India using the S&P CNX Nifty Index as a benchmark. To account for non-constant error variance in the return series, a GARCH model is fitted by incorporating futures and options dummy variables in the conditional variance equation. We find clustering and persistence of volatility before and after derivatives, while listing seems to have no stabilisation or destabilisation effects on market volatility. The postderivatives period shows that the sensitivity of the index returns to market returns and any day-of-the-week effects have disappeared. That is, the nature of the volatility patterns has altered during the post-derivatives period. Keywords: conditional volatility, heteroscedasticity, volatility clustering, market efficiency INTRODUCTION The modelling of asset returns volatility continues to be one of the key areas of financial...
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